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From |
Zhong Liu <zl1969@googlemail.com> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: Positive log likelihood values in a switching regression |

Date |
Fri, 14 Sep 2007 13:04:34 -0400 |

Hi, Anil: I got the same concern but I have found an answer in the STATA official website. See: http://www.stata.com/support/faqs/stat/wbl.html Regards,Zhong -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Anil Caliskan Sent: 14 September 2007 12:33 To: statalist@hsphsun2.harvard.edu Subject: st: Positive log likelihood values in a switching regression Dear Stata list: I am trying to determine a regime switch date using the framework suggested in Goldfeld and Quandt (1973) and applied in Mankiw (1987). The regressions are modeled as below: yt = beta01 + beta11*x1t + beta21*t + beta31*t^2 + e1t for t=1,...,i-1 yt = beta02 + beta12*x1t + beta22*t + beta32*t^2 + e2t for t=i,...,N I ran the regressions for all possible regime switch dates, i's, and calculated the log likelihood based on the formula: logL=-0.5*N*log(2*pi)-(i-1)*log(sigma1^2)-(N-(i-1))*log(sigma2^2)-0.5*(e1'e1 /sigma1^2)-0.5*(e2'e2/sigma2^2) I obtained e.'e. by using e(rss) and sigma. by using e(rmse) after each regression. The likelihood function that I computed is concave, however values are positive, which is the cause of my concern. I would be grateful if you help me understand why I am getting positive instead of negative values and if I am making a mistake. Thanks in advance. Anil Caliskan. * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Positive log likelihood values in a switching regression***From:*Anil Caliskan <acaliska@gmu.edu>

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